Computation of Multivariate Barrier Crossing Probability, and Its Applications in Finance
In this thesis, we consider computational methods of finding exit probabilities for a class of multivariate stochastic processes. While there is an abundance of results for one-dimensional processes, for multivariate processes one has to rely on approximations or simulation methods. We adopt a Large...
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| Language: | en |
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2007
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| Online Access: | http://hdl.handle.net/10012/3202 |